More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package

DOI10.1016/j.amc.2014.06.111zbMath1335.45001OpenAlexW2010775573MaRDI QIDQ278369

F. Blanchet-Sadri, M. Dambrine

Publication date: 2 May 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.06.111

zbMATH Keywords

diffusion processesVolterra integral equationsconditioned and unconditioned first-passage timesFPTL function

Mathematics Subject Classification ID

Diffusion processes (60J60) Volterra integral equations (45D05) Software, source code, etc. for problems pertaining to probability theory (60-04) Software, source code, etc. for problems pertaining to integral equations (45-04)

Related Items (4)

Modeling tumor growth in the presence of a therapy with an effect on rate growth and variability by means of a modified Gompertz diffusion process ⋮ Estimating a non-homogeneous Gompertz process with jumps as model of tumor dynamics ⋮ Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean ⋮ On short-term loan interest rate models: a first passage time approach

Uses Software

• R
• fptdApprox
• DiffProc
• sde

Cites Work

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• An R package for an efficient approximation of first-passage-time densities for diffusion processes based on the FPTL function
• From Poisson shot noise to the integrated Ornstein-Uhlenbeck process: neurally principled models of information accumulation in decision-making and response time
• First-passage-time location function: application to determine first-passage-time densities in diffusion processes
• Inferring the effect of therapy on tumors showing stochastic Gompertzian growth
• A new Gompertz-type diffusion process with application to random growth
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics
• A Guide to First-Passage Processes
• A new integral equation for the evaluation of first-passage-time probability densities
• First-passage-time densities for time-non-homogeneous diffusion processes

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